PVBP Calculator

Calculate PVBP

Example Data Table

Formula Used

Modified duration: PVBP = Price × Modified Duration × 0.0001.

Portfolio PVBP: Portfolio PVBP = PVBP per bond × Number of bonds.

Full repricing: PVBP = |Price at current yield − Price after a 1 bp yield rise|.

Direct price method: PVBP = |Current price − Shifted price| ÷ Basis point shift.

Convexity adjustment: Price change ≈ Price × (−Duration × Δy + 0.5 × Convexity × Δy²).

How to Use This Calculator

1. Select a calculation method that matches your available data.
2. Enter face value, quantity, price basis, and current price.
3. Add modified duration and convexity for duration based estimates.
4. Add coupon, yield, maturity, and payment frequency for repricing.
5. Use shifted price when comparing observed price changes.
6. Press the calculate button, then export CSV or PDF records.

PVBP Calculator Guide

PVBP shows the price value of one basis point. It is also called DV01 in many bond reports. The number tells how much a bond, note, or portfolio may change when yield moves by 0.01%. This makes rate risk easier to compare. A large market value often raises PVBP. A long maturity can raise it too. Low coupon bonds also tend to react more strongly.

This calculator supports several workflows. You can use modified duration when your desk already has a duration figure. You can use full repricing when you want the cash flows discounted again at a shifted yield. You can also enter direct before and after prices from another system. These choices help analysts check quick estimates and detailed bond views in one place.

PVBP is useful because it converts yield movement into money. A trader can compare two bonds without only looking at maturity. A portfolio manager can add position PVBP across holdings. A risk analyst can test a one basis point move or a larger shock. The result can show the estimated loss for a long position when yields rise. It can also show the gain for a short position.

The output should still be reviewed with care. Bond price behavior is not perfectly linear. Modified duration gives a strong local estimate. Convexity improves larger shift estimates. Full repricing is usually better when coupon, maturity, and yield data are reliable. Dirty price, accrued interest, call features, floating coupons, tax effects, and credit spreads can change real results.

Use clean inputs before trusting the answer. Match the price basis to your market data. Use the same face value for every bond in the position. Enter payment frequency as the coupon schedule. Use annual yield to maturity for the repricing method. Keep the shift in basis points. Then export the result for a worksheet, audit file, or daily rate risk note.

For better control, compare both duration and repricing outputs. When they differ widely, inspect yield, maturity, coupon rate, and price basis. A callable or amortizing instrument may need a specialist model. For plain fixed rate bonds, the calculator gives a clear starting point for daily sensitivity checks. Keep saved exports with trade notes too.

FAQs